Stopped Random Walks: Limit Theorems and Applications (Springer Series in Operations Research and Financial Engineering)

Allan Gut

  • 出版商: Springer
  • 出版日期: 2009-03-01
  • 售價: $3,141
  • 貴賓價: 9.5$2,984
  • 語言: 英文
  • 頁數: 263
  • 裝訂: Hardcover
  • ISBN: 0387878343
  • ISBN-13: 9780387878348

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商品描述

Classical probability theory provides information about random walks after a fixed number of steps. For applications, however, it is more natural to consider random walks evaluated after a random number of steps. Examples are sequential analysis, queuing theory, storage and inventory theory, insurance risk theory, reliability theory, and the theory of contours. Stopped Random Walks: Limit Theorems and Applications shows how this theory can be used to prove limit theorems for renewal counting processes, first passage time processes, and certain two-dimenstional random walks, and to how these results are useful in various applications.

This second edition offers updated content and an outlook on further results, extensions and generalizations. A new chapter examines nonlinear renewal processes in order to present the analagous theory for perturbed random walks, modeled as a random walk plus "noise."